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Stock market microstructure in Spain: a note

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2010-03-01T10:48:10Z
dc.date.available2010-03-01T10:48:10Z
dc.date.issued1994-07
dc.description.abstractThis note addresses some microstructure consequences of the Spanish Stock Exchange Reform on measures of systematic risk of daily asset returns. The Reform modified the trading system, clearing and settlement procedures among other changes. This note focuses on how these events affected systematic risk measures and autocorrelations in a sample of selected stocks. After the Reform significant decreases in autocorrelations and lower biases in the betas are found, suggesting that the Reform had increased market's operational efficiency. However, Banks sector have special features which are explained in terms of trade mechanisms.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/7084
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries94-27-03
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.otherMarket microstructure
dc.subject.otherBetas
dc.subject.otherTrading mechanisms
dc.titleStock market microstructure in Spain: a note
dc.typeworking paper*
dspace.entity.typePublication
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